From the top ribbon, click on the Folder tab, then click on New Folder.

A new window will appear, prompting you to choose a name and location for your folder. Type in the desired name of your folder, then click under which already-existing folder you'd like to place the new one.

Click the OK button.

That's it! You now have a new folder. You can now organize your messages into this folder by dragging and dropping them, or by right-clicking on the message, choosing Move, and selecting the folder from the destination list.